The implementation of Milstein scheme in two-dimensional SDEs using non-degeneracy for the diffusion term (Q5204540)
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scientific article; zbMATH DE number 7139843
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| English | The implementation of Milstein scheme in two-dimensional SDEs using non-degeneracy for the diffusion term |
scientific article; zbMATH DE number 7139843 |
Statements
THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (English)
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4 December 2019
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stochastic differential equations
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invertible SDEs
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numerical solution of stochastic differential equations
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Milstein method for solving SDE
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Euler method for SDE
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0.8283146023750305
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0.7820903658866882
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0.775644838809967
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0.7741345167160034
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